We analyze the properties of the indirect inference estimator when the observed series are contaminated by measurement error. We show that the indirect inference estimates are asymptotically biased when the nuisance parameters of the measurement error distribution are neglected in the indirect...

The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the...